oBond3_Price( ) Example

Description

Consider a 20-year bond trading at a yield of 7.20% with an annual coupon of 7.00%, a dated date of 15 March 1994, a maturity date of 15 March 2014, and a face value of $500,000. The discount and accrual bases are Act/365, and domestic yield is quoted on an annually compounded basis.

There is an ex-dividend period of 5 business days, all prices are rounded to the nearest cent (ie 2dp), while cash flows that occur on a non-business day are not adjusted. Coupons are exact and the bond is priced using the ISMA formula. The final period starts on the ex-date of the penultimate coupon.

What is the price of this bond assuming a settlement date of 12 March 2003?